How to add transparency to a group of objects
Blender internal:

You can add a material with the transparency option enabled:

Cycles:

For cycles it's a bit different:



Assign material to your objects

After that you can assign manualy your material to your object one by one, or you can select all the object that you want to assign the material and select at last the object wich has already the transparent material. Then do ctrl+l and select Material. All your selected objects have now the transparent material.